A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)

Teodosio Pérez-Amaral, Giampiero Gallo () and Halbert White

Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

Abstract: A new method, called relevant transformation of the inputs network approach (RETINA) is proposed as a tool for model building and selection. It is designed to improve on some of the shortcomings of neural networks. RETINA has the flexibility of neural network models, the concavity of the likelihood in the weights of the usual linear models, and the ability to identify a parsimonious set of attributes that are likely to be relevant for predicting out of sample outcomes. It achieves flexibility by considering transformations of the original inputs; it splits the sample into three disjoint subsamples, sorts the candidate regressors by a saliency feature, chooses the models in subsample 1, uses subsample 2 for parameter estimation, and uses subsample 3 for cross-validation. It is modular, can be used as a data exploratory tool, and is computationally feasible in personal computers. In tests on simulated data, it achieves high rates of successes when the sample size or the R2 are large enough. As our experiments show, it is superior to alternative procedures such as the non-negative garrote and backward stepwise regression.

Keywords: Model selection; cross-validation; flexible modelling; information criteria; forecasting. (search for similar items in EconPapers)
Pages: 38 pages
Date: 2003-03-14
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Published in Oxford Bulletin of Economics and Statistics, December 2003 - Vol. 65 Issue s1 Page 681-906 doi:10.1046/j.0305-9049.2003.00096.x

Downloads: (external link)
https://labdisia.disia.unifi.it/ricerca/pubblicazi ... s/2003/wp2003_04.pdf (application/pdf)

Related works:
Journal Article: A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* (2003)
Working Paper: Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (2003)
Working Paper: A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fir:econom:wp2003_04

Access Statistics for this paper

More papers in Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Fabrizio Cipollini ().